 Multi-scale systemic risk and spillover networks of commodity markets in the bullish and bearish regimesXu Zhang, Xian Yang and Qizhi He The North American Journal of Economics and Finance, 2022, vol. 62, issue C Abstract: This paper proposes a new network topology approach based on the STVAR model to identify asymmetric impacts of market conditions on multi-scale systemic risk spillovers of commodity markets. The results show that bearish market conditions enlarge low-frequency systemic risk spillovers in commodity markets, and bullish market conditions have more striking impacts on high-frequency systemic risk spillovers. Furthermore, the center of risk spillover networks varies across the market conditions and frequencies. Specifically, at the high-frequency level, sugar is the largest risk transmitter in bad regimes, and heating oil is in the center of the network in good regimes. At the intermediate frequency level, soybean becomes a more important risk transmitter in both regimes. In other cases, heating oil is the center of risk spillover networks. Keywords: Commodity market; Wavelet packet decomposition; CoVaR; STVAR; Spillover network (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:eee:ecofin:v:62:y:2022:i:c:s1062940822001115 DOI: 10.1016/j.najef.2022.101766 Access Statistics for this article The North American Journal of Economics and Finance is currently edited by Hamid Beladi More articles in The North American Journal of Economics and Finance from Elsevier |
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